Derivative Report
Oct 01, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.52% while
BankNifty futures open interest has decreased by 3.56%
as market closed at 7964.80 levels.
The Nifty October future closed at premium of 35.00
point against a premium of 34.35 points. The November
series closed at a premium of 81.60 points.
The Implied Volatility of at the money options has
increased from 12.13% to 12.36%.
Nifty PCR-OI has increased from 0.86 to 0.90 levels.
The total OI of the market is Rs. 1,74,978/- cr. and the
stock futures OI is Rs. 51,789/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDFCBANK, MCLEODRUSS,
GMRINFRA, ACC and SRTRANSFIN.
View
OI Gainers
Yesterday NIFTY jumped above 8000 levels but in
OI
PRICE
second the half it corrected from those highs and
SCRIP
OI
CHANGE
PRICE
CHANGE
closed nearly flat. FIIs were net seller in cash market
(%)
(%)
segment of worth Rs. 485 crores. In Index Futures
they were net buyers with good amount of rise in
MRF
46125
44.71
32681.95
5.17
open interest indicating blend of both long & short
HEROMOTOCO
1385625
14.38
2839.55
-0.83
positions in last trading session.
SRTRANSFIN
687000
10.81
932.30
-4.30
In Index Options they bought significantly, they were
SAIL
36240000
8.49
69.60
-1.58
net buyer of worth Rs. 1539 crores with good amount
of rise in open interest indicating formation of long
BANKINDIA
9791000
8.22
232.00
-3.51
positions in last trading session. PCR-OI has
increased due to open interest addition in put options
OI Losers
while implied volatility still remains more or less in
line. In put options 7700 & 7900 strike price added
OI
PRICE
reasonable amount of open interest, some buildup
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
was also witnessed in 7500 & 8000 put options. We
believe these additions of contracts in put options are
TATACHEM
3149000
-8.33
399.40
1.92
long positions formed by FIIs. On the other hand in
BATAINDIA
625750
-7.23
1324.55
1.04
call options 8300 strike price added some buildup.
Maximum buildup in current series in call options still
INDUSINDBK
5517500
-6.64
621.55
-0.63
remains at 8200 strike price and that of put options
HDFC
6563250
-6.16
1055.25
2.22
has shifted to 7800 strike price.
SUNTV
1901000
-6.03
338.15
1.57
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.96
COLPAL
34.96
BANKNIFTY
0.89
0.72
POWERGRID
25.39
RELIANCE
0.41
0.28
MRF
47.64
SBIN
0.50
0.59
EICHERMOT
54.94
INFY
0.38
0.29
SRTRANSFIN
45.24
1
Derivative Report
Oct 01, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
Research Team Tel: 022 - 39357800
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